Expand model tag support: add GLM-5.1, simplify Anthropic IDs, scan tags anywhere in message

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gateway/knowledge/trading/strategies/stocks/market-making.md

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+---
+description: "Captures the bid-ask spread by posting passive limit orders at the bid and ask, using short-horizon directional signals to stay on the correct side and avoid adverse selection from informed order flow."
+tags: [stocks, market-making, high-frequency, bid-ask-spread]
+---
+
+# Market-Making
+
+**Section**: 3.19 | **Asset Class**: Stocks | **Type**: Market-Making / High-Frequency Trading
+
+## Overview
+Market-making captures the bid-ask spread by simultaneously quoting to buy at the bid and sell at the ask. The strategy profits when order flow is uninformed ("dumb"); it loses money when order flow is "smart" (informed/toxic) due to adverse selection. Practical implementations use short-horizon directional signals to stay on the correct side of the market, often augmented by longer-horizon signals to handle adverse selection on individual fills.
+
+## Construction / Signal
+**Simplified rule**:
+```
+Rule = { Buy at the bid
+        { Sell at the ask                                   (359)
+```
+
+**Practical refinement — short-horizon signal**: Maintain a signal indicating the likely near-term price direction. Place limit orders such that:
+- If signal indicates price increase: buy at the bid (stay long side)
+- If signal indicates price decrease: sell at the ask (stay short side)
+
+**Combined short- and long-horizon signal approach**:
+- Short-horizon signal: indicates near-term direction; used to route passive vs. aggressive orders.
+- Long-horizon signal: provides directional conviction; can justify accepting adverse selection on individual trades if the trade is based on positive expected return from the longer signal.
+- If both signals agree: consider aggressive (marketable) order instead of passive limit order to ensure fill.
+
+## Entry / Exit Rules
+- **Entry**: Post limit orders at bid (to buy) or ask (to sell), sized to the desired position.
+- **Exit**: The opposite-side limit order fills (completing the round-trip), or a signal change triggers cancellation and replacement of orders.
+- **Position limits**: Must be defined; the strategy should not accumulate large directional inventory.
+- **Queue priority**: Must be #1 (or near front) in the limit order queue at each price level to ensure fills; this is what makes speed/infrastructure critical.
+
+## Key Parameters
+- **Bid-ask spread**: The primary source of profit per round-trip
+- **Signal horizon (short)**: Milliseconds to seconds; used for order placement direction
+- **Signal horizon (long)**: Minutes to hours; used to tolerate adverse selection
+- **Cents-per-share target**: Realized P&L in cents per total share traded (including both establishing and liquidating trades)
+- **Inventory limit**: Maximum tolerated directional position before reducing quotes
+- **Speed/latency**: Infrastructure speed is critical for queue position in high-frequency market-making
+
+## Variations
+- **Pure passive**: Only post limit orders; profit entirely from spread capture; maximally exposed to adverse selection
+- **Mixed passive + aggressive**: Use longer-horizon signal to occasionally place aggressive (market) orders when signal strength justifies paying the spread
+- **Multi-level quoting**: Quote at multiple price levels across the order book
+
+## Notes
+- In a market with mostly uninformed ("dumb") order flow, pure market-making is highly profitable; in a market dominated by informed ("smart") flow, adverse selection erodes all profits.
+- Adverse selection: smart order flow tends to arrive when the market is moving against the market-maker's position (e.g., buys come when the price is declining through the bid).
+- The "cents-per-share" metric (realized P&L in cents / total shares traded, counting both establishing and liquidating trades) is the standard performance measure.
+- High-frequency trading (HFT) infrastructure is key: speed determines queue priority for limit orders, which determines fill probability.
+- Long-horizon signal typically has lower Sharpe ratio but higher cents-per-share than the short-horizon signal.
+- This strategy is primarily relevant for professional trading operations with direct market access and co-location infrastructure.